If you file your US tax return you will get a refund on any overpaid taxes that were withheld. You will also be able to claim a tax credit on your Canadian taxes for the taxes paid in the US. There are no real consequences for not filing as a non-citizen (unless you are hoping to gain citizenship one day) but the rewards for this one seem pretty easy to get.
TurboTax partners with Sprintax for taxes for non-citizens. Check them out here.
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